Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0161
Annualized Std Dev 0.2160
Annualized Sharpe (Rf=0%) 0.0745

Row

Daily Return Statistics

Close
Observations 5586.0000
NAs 1.0000
Minimum -0.1702
Quartile 1 -0.0057
Median 0.0000
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0063
Maximum 0.1137
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0136
Skewness -1.0296
Kurtosis 19.2798

Downside Risk

Close
Semi Deviation 0.0101
Gain Deviation 0.0097
Loss Deviation 0.0116
Downside Deviation (MAR=210%) 0.0146
Downside Deviation (Rf=0%) 0.0100
Downside Deviation (0%) 0.0100
Maximum Drawdown 0.6058
Historical VaR (95%) -0.0186
Historical ES (95%) -0.0326
Modified VaR (95%) -0.0206
Modified ES (95%) -0.0423
From Trough To Depth Length To Trough Recovery
2000-09-05 2009-03-09 2019-07-10 -0.6058 4739 2137 2602
2020-02-21 2020-03-23 2020-08-10 -0.4318 119 22 97
2021-02-17 2021-03-08 NA -0.2282 24 14 NA
1999-03-16 1999-11-02 2000-08-21 -0.1813 364 162 202
2020-08-19 2020-10-30 2020-11-17 -0.1206 64 52 12

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 1.9 -0.7 -1.3 0 -2.6 1.3 0 -0.6 -1.3 -1.5 0 -0.7 -5.4
2000 0 0 0.7 1.4 0.7 0.7 0.7 0 -0.6 -3 -3.1 1.6 -1
2001 0.6 0 1 0.6 -0.4 0.5 0.6 2.8 -1.9 1.3 1.4 2.9 9.4
2002 -0.5 -0.1 0.4 0.4 -2.3 -0.1 -2.2 2 2.6 0.1 -0.6 -0.8 -1.2
2003 -1.9 -1.3 0 0.5 -0.1 -0.1 -0.7 1.5 1.4 0.3 0.8 0.1 0.3
2004 0.6 -0.5 0.4 1.3 -0.3 -0.5 0.7 -2.4 0.1 0.1 0.3 0.6 0.4
2005 0.3 -0.4 -2.2 -1.1 0 -1.1 1.2 0.3 0.6 -1.5 1.1 1.3 -1.7
2006 -0.4 1.1 -0.6 0.7 -0.6 1.3 0.1 0.9 -0.1 -0.1 -0.1 0 2.1
2007 0.1 -1.1 -0.2 -0.4 0.2 0.2 -1.3 -0.1 1.5 -1.8 0 1 -1.9
2008 -0.4 -2.1 0.5 -0.1 0.1 -1 1.3 -1.4 3.8 5.2 -4.8 2.7 3.4
2009 -0.2 -1.1 0.2 2.9 1.4 2.2 -0.5 -1 -1 -4.2 -0.1 0.2 -1.3
2010 1.1 2 0.7 -1.4 -1.6 -0.2 0.7 1.8 -0.3 0.1 1.5 1 5.6
2011 1.3 -1.1 0.3 0.5 -0.9 1.2 0.4 -0.4 -2.6 -0.4 -0.8 -2.1 -4.5
2012 1.2 0.4 0.4 0.4 -1.9 1.2 0.3 0.4 -0.3 0.4 -0.1 1 3.4
2013 0.8 0.5 0.1 -0.3 -0.7 0.7 0.8 0.9 0.3 -0.4 0 0.1 2.9
2014 -0.6 -0.1 -0.7 0 -0.5 0.8 -0.8 -0.1 -1.6 1.7 -0.7 0.9 -1.8
2015 -0.7 0.1 -0.2 0 0.3 1.7 3 -1.7 0.1 0.4 0.6 -0.3 3.2
2016 -0.1 0.8 0 -0.3 0.6 0.4 -0.1 0.4 0.1 -0.4 -1 -0.4 0.1
2017 0.7 -0.7 0.1 -0.6 0.4 1.6 -0.1 2.7 0.1 0.9 -3.2 0.1 2
2018 -0.7 -1.2 0.8 0.6 1 0.4 0.4 -0.2 -0.2 1 0.1 0.8 2.8
2019 0.1 0.7 0.8 0.1 -0.5 0.3 0.8 -0.1 -1.2 2.1 -1.1 0.8 2.9
2020 0.9 -3.7 -6.5 -3.3 0.9 0.3 -0.4 0.5 1.7 -1.6 0.6 -0.2 -10.7
2021 0.5 1.1 -0.9 NA NA NA NA NA NA NA NA NA 0.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  9.56 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  9.56 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  9.5  SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  9.5  SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  9.62 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  9.69 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart